Asset Allocation at the Cook County Pension Fund

Emil Nuwan Siriwardane

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Supplement | HBS Case Collection | December 2018

Asset Allocation at the Cook County Pension Fund

by Emil Nuwan Siriwardane

Language: English

Format: Electronic

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Citation:

Siriwardane, Emil Nuwan. "Asset Allocation at the Cook County Pension Fund." Harvard Business School Spreadsheet Supplement 219-729, December 2018.

About the Author

Emil N. Siriwardane

Assistant Professor of Business Administration

Finance

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Case | HBS Case Collection | September 2017 (Revised November 2019)

Asset Allocation at the Cook County Pension Fund

Emil Siriwardane, Juliane Begenau and Yuval Gonczarowski

Nickol Hackett, chief investment officer of the Cook County Pension Fund, is responsible for investing the fund’s $9 billion worth of assets on behalf of the employees of Cook County, Illinois. Like many other defined-benefit pensions at the time, the Cook County pension faces a funding shortfall, meaning that the value of its assets is below the value of its future obligations to retirees. Hackett can invest in fixed income securities, public equities, and alternative assets such as hedge funds, real estate, or private equity. What are the costs and benefits of each asset class? Should the funding status of the pension impact the asset allocation process? How should Hackett invest in order to grow the value of the fund’s assets and secure the retirement benefits for thousands of Cook County’s employees?

Keywords: Asset Management; Investment Funds; Financial Strategy; Decision Choices and Conditions;

Citation:
Siriwardane, Emil, Juliane Begenau, and Yuval Gonczarowski. "Asset Allocation at the Cook County Pension Fund." Harvard Business School Case 218-030, September 2017. (Revised November 2019.) View Details

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Article | Journal of Finance | October 2019

Limited Investment Capital and Credit Spreads

Emil N. Siriwardane

Using proprietary credit default swap (CDS) data, I investigate how capital shocks at protection sellers impact pricing in the CDS market. Seller capital shocks—measured as CDS portfolio margin payments—account for 12% of the time-series variation in weekly spread changes, a significant amount given that standard credit factors account for 18% during my sample. In addition, seller shocks possess information for spreads that is independent of institution-wide measures of constraints. These findings imply a high degree of market segmentation and suggest that frictions within specialized financial institutions prevent capital from flowing into the market at shorter horizons.

Keywords: credit risk; derivatives; capital markets; Credit Derivatives and Swaps; Capital Markets; Credit; Financial Institutions;

Citation:
Siriwardane, Emil N. "Limited Investment Capital and Credit Spreads." Journal of Finance 74, no. 5 (October 2019): 2303–2347. View Details

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Supplement | HBS Case Collection | September 2017 (Revised March 2019)

Asset Allocation at the Cook County Pension Fund

Emil Nuwan Siriwardane

Citation:
Siriwardane, Emil Nuwan. "Asset Allocation at the Cook County Pension Fund." Harvard Business School Spreadsheet Supplement 218-704, September 2017. (Revised March 2019.) View Details

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Asset Allocation at the Cook County Pension Fund

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